scripts/builtin/lmDS.dml

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m_lmDS = function(Matrix[Double] X, Matrix[Double] y, Integer icpt = 0, Double reg = 1e-7, Boolean verbose = TRUE) return (Matrix[Double] B) {
  intercept_status = icpt;
  regularization = reg;

  n = nrow (X);
  m = ncol (X);
  ones_n = matrix (1, rows = n, cols = 1);
  zero_cell = matrix (0, rows = 1, cols = 1);

  # Introduce the intercept, shift and rescale the columns of X if needed

  m_ext = m;
  if (intercept_status == 1 | intercept_status == 2)  # add the intercept column
  {
    X = cbind (X, ones_n);
    m_ext = ncol (X);
  }

  scale_lambda = matrix (1, rows = m_ext, cols = 1);
  if (intercept_status == 1 | intercept_status == 2)
  {
    scale_lambda [m_ext, 1] = 0;
  }

  if (intercept_status == 2)  # scale-&-shift X columns to mean 0, variance 1
  {                           # Important assumption: X [, m_ext] = ones_n
    avg_X_cols = t(colSums(X)) / n;
    var_X_cols = (t(colSums (X ^ 2)) - n * (avg_X_cols ^ 2)) / (n - 1);
    is_unsafe = (var_X_cols <= 0);
    scale_X = 1.0 / sqrt (var_X_cols * (1 - is_unsafe) + is_unsafe);
    scale_X [m_ext, 1] = 1;
    shift_X = - avg_X_cols * scale_X;
    shift_X [m_ext, 1] = 0;
  } else {
    scale_X = matrix (1, rows = m_ext, cols = 1);
    shift_X = matrix (0, rows = m_ext, cols = 1);
  }

  # Henceforth, if intercept_status == 2, we use "X %*% (SHIFT/SCALE TRANSFORM)"
  # instead of "X".  However, in order to preserve the sparsity of X,
  # we apply the transform associatively to some other part of the expression
  # in which it occurs.  To avoid materializing a large matrix, we rewrite it:
  #
  # ssX_A  = (SHIFT/SCALE TRANSFORM) %*% A    --- is rewritten as:
  # ssX_A  = diag (scale_X) %*% A;
  # ssX_A [m_ext, ] = ssX_A [m_ext, ] + t(shift_X) %*% A;
  #
  # tssX_A = t(SHIFT/SCALE TRANSFORM) %*% A   --- is rewritten as:
  # tssX_A = diag (scale_X) %*% A + shift_X %*% A [m_ext, ];

  lambda = scale_lambda * regularization;
  # BEGIN THE DIRECT SOLVE ALGORITHM (EXTERNAL CALL)
  A = t(X) %*% X;
  b = t(X) %*% y;
  if (intercept_status == 2) {
    A = t(diag (scale_X) %*% A + shift_X %*% A [m_ext, ]);
    A =   diag (scale_X) %*% A + shift_X %*% A [m_ext, ];
    b =   diag (scale_X) %*% b + shift_X %*% b [m_ext, ];
  }
  A = A + diag (lambda);

  if (verbose)
	  print ("Calling the Direct Solver...");

  beta_unscaled = solve (A, b);

  # END THE DIRECT SOLVE ALGORITHM
  if (intercept_status == 2) {
      beta = scale_X * beta_unscaled;
      beta [m_ext, ] = beta [m_ext, ] + t(shift_X) %*% beta_unscaled;
  } else {
      beta = beta_unscaled;
  }
  
  if (verbose) { 
	  print ("Computing the statistics...");
	  avg_tot = sum (y) / n;
	  ss_tot = sum (y ^ 2);
	  ss_avg_tot = ss_tot - n * avg_tot ^ 2;
	  var_tot = ss_avg_tot / (n - 1);
	  y_residual = y - X %*% beta;
	  avg_res = sum (y_residual) / n;
	  ss_res = sum (y_residual ^ 2);
	  ss_avg_res = ss_res - n * avg_res ^ 2;
	
	  R2 = 1 - ss_res / ss_avg_tot;
	  dispersion = ifelse(n > m_ext, ss_res / (n - m_ext), NaN);
	  adjusted_R2 = ifelse(n > m_ext, 1 - dispersion / (ss_avg_tot / (n - 1)), NaN);
	
	  R2_nobias = 1 - ss_avg_res / ss_avg_tot;
	  deg_freedom = n - m - 1;
	  if (deg_freedom > 0) {
	    var_res = ss_avg_res / deg_freedom;
	    adjusted_R2_nobias = 1 - var_res / (ss_avg_tot / (n - 1));
	  } else {
	    var_res = NaN;
	    adjusted_R2_nobias = NaN;
	    print ("Warning: zero or negative number of degrees of freedom.");
	  }
	
	  R2_vs_0 = 1 - ss_res / ss_tot;
	  adjusted_R2_vs_0 = ifelse(n > m, 1 - (ss_res / (n - m)) / (ss_tot / n), NaN);

    print ("AVG_TOT_Y, " + avg_tot +                 # Average of the response value Y
      "\nSTDEV_TOT_Y, " + sqrt (var_tot) +           # Standard Deviation of the response value Y
      "\nAVG_RES_Y, " + avg_res +                    # Average of the residual Y - pred(Y|X), i.e. residual bias
      "\nSTDEV_RES_Y, " + sqrt (var_res) +           # Standard Deviation of the residual Y - pred(Y|X)
      "\nDISPERSION, " + dispersion +                # GLM-style dispersion, i.e. residual sum of squares / # d.f.
      "\nR2, " + R2 +                                # R^2 of residual with bias included vs. total average
      "\nADJUSTED_R2, " + adjusted_R2 +              # Adjusted R^2 of residual with bias included vs. total average
      "\nR2_NOBIAS, " + R2_nobias +                  # R^2 of residual with bias subtracted vs. total average<Paste>
      "\nADJUSTED_R2_NOBIAS, " + adjusted_R2_nobias);  # Adjusted R^2 of residual with bias subtracted vs. total average
    if (intercept_status == 0) {
      print ("R2_VS_0, " + R2_vs_0 +               #  R^2 of residual with bias included vs. zero constant
        "\nADJUSTED_R2_VS_0, " + adjusted_R2_vs_0);  #  Adjusted R^2 of residual with bias included vs. zero constant
    }
  }

  B = beta;
}